Analisis Portofolio Saham (Motorola & General Motors) - Manajemen Investasi & Pasar Modal

ANALISIS PORTOFOLIO SAHAM MANAJEMEN INVESTASI & PASAR MODAL

MAY 16, 2016 ACCOUNTING Angga Bagas Samudra

ANALISIS PORTOFOLIO

Angga Bagas S 145020307111048

Part 1: Pada 1946 – 2001, Motorola memiliki rata-rata pengembalian bulanan 1.75% dan std dev 9.73%. GM memiliki rata-rata pengembalian 1.08% dan std dev of 6.23%. Korelasinya 0.37.

wMot 0 0.25 0.50 0.75 1 1.25

Analisis Portofolio Saham

w GM 1 0.75 0.50 0.25 0 -0.25

E[RP] 1.08 1.25 1.42 1.58 1.75 1.92

MANIVEST – CC CLASS

var(RP) 38.8 36.2 44.6 64.1 94.6 136.3

stdev(RP) 6.23 6.01 6.68 8.00 9.73 11.67

TASK 3

Angga Bagas S

ANALISIS PORTOFOLIO

145020307111048

EFFICIENT SET CHART 2.1%

Motorola

Expected Return

1.7%

1.3%

GM 0.9%

0.5% 2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Stan dard Deviation of Retu rn

Analisis Portofolio Saham

MANIVEST – CC CLASS

TASK 3

ANALISIS PORTOFOLIO

Angga Bagas S 145020307111048

Part 1-2 : Situasi yang sama dengan tingkat korelasi sebesar –1.0? 0.0? 1.0?

wMot 0 0.25 0.50 0.75 1

w GM 1 0.75 0.50 0.25 0

Analisis Portofolio Saham

E[RP] 1.08% 1.25 1.42 1.58 1.75

Std dev of portfolio corr = -1 corr = 0 corr = 1 6.23% 6.23% 6.23% 2.24 5.27 7.10 1.75 5.78 7.98 5.74 7.46 8.85 9.73 9.73 9.73

MANIVEST – CC CLASS

TASK 3

ANALISIS PORTOFOLIO

Angga Bagas S 145020307111048

EFFICIENT SET & ASET BEBAS RISIKO (T-BILLS/SBI) 2.2%

Expected Return

1.8% corr=-1 1.4%

corr=-.5

corr=0

corr=1

1.0%

0.6% 0.0%

Analisis Portofolio Saham

2.0%

4.0%

6.0% 8.0% 10.0% 12.0% 14.0% 16.0% Standard Deviation of Return MANIVEST – CC CLASS

TASK 3

ANALISIS PORTOFOLIO

Angga Bagas S 145020307111048

Part 2: Penentuan alokasi portofolio saham dan SBI (T-Bill). Rate dari TBill adalah 0.12% (bulanan). Kita berharap tingkat pengembalian saham adalah 0.75% (bulanan) dengan standar deviasi 4.25%.

w Stk 0 0.33 0.67 1

w Tbill 1 0.67 0.33 0

Analisis Portofolio Saham

E[RP] 0.12 0.33 0.54 0.75

MANIVEST – CC CLASS

var(RP) 0.00 1.97 8.11 18.06

stdev(RP) 0.00 1.40 2.85 4.25

TASK 3

Angga Bagas S

ANALISIS PORTOFOLIO

145020307111048

Mean/SD Trade-Off for Portfolios of T-Bills and The Stock Market 1.0%

Expected Return

0.8%

Stock Market 0.6% 50/50 portfolio

0.4%

0.2%

T-Bills 0.0% 0.0%

Analisis Portofolio Saham

1.0%

2.0% 3.0% 4.0% Standard Deviation of Return

MANIVEST – CC CLASS

5.0%

6.0%

TASK 3

ANALISIS PORTOFOLIO

Analisis Portofolio Saham

MANIVEST – CC CLASS

Angga Bagas S 145020307111048

TASK 3